7 papers
Algorithmic trading and stochastic integration
Aleksandar Arandjelovic, Uwe Schmock
We study simple predictable processes whose coefficients are represented by neural networks. On finite measure spaces, we establish density results for neural networks in Orlicz sp…
On the approximation of posterior laws in compound loss models by conditional Wasserstein GANs
Aleksandar Arandjelovic, Pavel V. Shevchenko, George Tzougas
Bayesian inference in compound loss models must often be repeated across policies, market scenarios, and prior specifications. Outside conjugate cases, this may require repeated nu…
Scenario-based actuarial climate risk assessment via calibration of the DICE model to the shared socioeconomic pathways
Daisuke Murakami, Pavel V. Shevchenko, Tomoko Matsui +2
Accounting for climate-related risks is an emerging problem for life insurers around the world. In this paper, we demonstrate how scenario trajectories for global temperature can b…
Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach
Aleksandar Arandjelović, Pavel V. Shevchenko, Tomoko Matsui +2
Stochastic versions of recursive integrated climate-economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number…
Optimal risk mitigation by deep reinsurance
Aleksandar Arandjelović, Julia Eisenberg
We consider an insurance company which faces financial risk in the form of insurance claims and market-dependent surplus fluctuations. The company aims to simultaneously control it…
Importance sampling for option pricing with feedforward neural networks
Aleksandar Arandjelović, Thorsten Rheinländer, Pavel V. Shevchenko
We study the problem of reducing the variance of Monte Carlo estimators through performing suitable changes of the sampling measure which are induced by feedforward neural networks…
Optimal Investment, Consumption, and Insurance with Durable Goods under Stochastic Depreciation Risk
Aleksandar Arandjelović, Ryle S. Perera, Pavel V. Shevchenko +2
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-fr…